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An Intertemporal CAPM with Stochastic Volatility / John Y. Campbell, Stefano Giglio, Christopher Polk, Robert Turley.
- Format:
- Book
- Author/Creator:
- Campbell, John Y.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w18411.
- NBER working paper series no. w18411
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2012.
- Summary:
- This paper studies the pricing of volatility risk using the first-order conditions of a long-term equity investor who is content to hold the aggregate equity market rather than tilting towards value stocks and other equity portfolios that are attractive to short-term investors. We show that a conservative long-term investor will avoid such tilts in order to hedge against two types of deterioration in investment opportunities: declining expected stock returns, and increasing volatility. Empirically, we present novel evidence that low-frequency movements in equity volatility, tied to the default spread, are priced in the cross-section of stock returns.
- Notes:
- Print version record
- September 2012.
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